ENGLISH

Neutral and Indifference Portfolio Pricing, Hedging and Investing: With applications in Equity and FX

By Srdjan Stojanovic (auth.)

Book information

Publisher
Springer-Verlag New York
Year
2012
ISBN
0387714170, 9780387714172
DOI
10.1007/978-0-387-71418-9
Google Books ID
BcRMJ4AqXyQC
Language
english
Format
PDF
Filesize
2 MB (2110737 bytes)
Edition
1
Pages
263\278
Orientation
yes
Scanned
no
Time added
2012-02-14 18:00:00
Quantitative Finance; Financial Economics; Computa

Description

This book is written for quantitative finance professionals, students, educators, and mathematically inclined individual investors. It is about some of the latest developments in pricing, hedging, and investing in incomplete markets. With regard to pricing, two frameworks are fully elaborated: neutral and indifference pricing. With regard to hedging, the most conservative and relaxed hedging formulas are derived. With regard to investing, the neutral pricing methodology is also considered as a tool for connecting market asset prices with optimal positions in such assets. Srdjan D. Stojanovic is Professor in the Department of Mathematical Sciences at University of Cincinnati (USA) and Professor in the Center for Financial Engineering at Suzhou University (China).

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